By chance do you have different scales (%) set for each display under "Settings / Display / Scale and layout"?

In a multi-monitor environment, S+ seems to use the main display's scale for every monitor. So if the main display is 100% and another is set at 200%, the 200% display will have the line drawn far from the mouse (direction depends on the scale and display arrangement position). In the case of the main display being set to 200% and another set to 100%, things get even weirder, like drawing the line off screen.

If you are using different scales, try setting them all to the same scale.